The past three decades have been characterized by vast change and crises in global financial markets—and not in politically unstable countries but in the heart of the developed world, from the Great Recession in the United States to the banking crises in Japan and the Eurozone. As we try to...

Introduction / Edward L. Glaeser, Tano Santos, and E. Glen Weyl -- Stochastic compounding and uncertain valuation / Lars Peter Hansen and José A. Scheinkman -- The good banker / Patrick Bolton -- How to implement contingent capital / Albert S. Kyle -- Bankruptcy laws and collateral regulation:...

[...]This article provides the first detailed intraday analysis of the round-the-clock market for U.S. Treasurysecurities. The analysis, covering the period from April 4to August 19, 1994, uses comprehensive data on tradingactivity among the primary government securities dealers.Trading volume,...

In this paper we investigate the relation between statistical tracking error measures and assetallocation restrictions expressed as admissible weight ranges. Typically, tracking errors arecalculated as annual standard deviations of return differentials between tracking portfolio andbenchmark. In...

The most widely used tool to measure, gear and control market risk is value-at-risk (VaR).VaR quantifies the worst loss over a specified target horizon with a given statisticalconfidence level. In other words, it represents a quantile of an estimated profit-lossdistribution. Various...

Unternehmungen lassen sich in allgemeiner Weise als produktive Systeme begreifen.In ihnen werden materielle und immaterielle Realgüter eingesetzt, d. h.,kombiniert, transformiert, gebraucht und verbraucht, um neue Realgüter herzustellen.In Marktwirtschaften werden die eingesetzten Realgüter...